Dr Sergei Siyanko
Department of Mathematics
Pricing in incomplete markets with jumps and, in particular, when jumps are directed towards fundamental value of the stock; asymptotic methods for pricing Asian derivatives.
Pricing Manager (since 2004). Most of my career has been with American Express whom I joined in Moscow in 1995. I have moved to the UK through an intra-company transfer in 1998 and have done a number of roles across different functions including IT support, change management, business reporting, management finance, decision support and decision science.
University College London. PhD in Applied Mathematics Reseach. Supervisor Prof. W. Shaw. 2011 - 2016.
King's College London. MPhil/PhD in Applied Mathematics Reseach. Supervisor Prof. W. Shaw. 2008 - 2010.
King's College London. MSc in Financial Mathematics. Prize for the best overall performance on the programme. 2005 - 2007.
Moscow Institute of Physics and Technology. MSc in Microelectronics. 1988 - 1994.
Siyanko S. 2012 Essentially exact asymptotic solutions for Asian derivatives. European Journal of Applied Mathematics, v23, Issue 03, pp 395-415 doi:10.1017/S0956792511000441. Implementations in Mathematica: alphacase.nb, betacase.nb.
This is a Microsoft Windows program to demonstrate practical applications of my model for pricing derivatives in a presence of mean-reverting jumps. It interprets the volatility smile and skews phenomena as market's aversion to the risk of price corrections and explicitly calculates this risk as assumed by the markets. Press the following link to access the installation package, unzip it into your local drive and run a set-up program: implvol.zip. Alternatevly, please feel free to try an abriviated version in Java: implvol.jar, help.